The econometrics of the Holy Grail: A critique (Revised version)

Abstract

This paper discusses the methodological views of David Hendry. A critique is given on the reification of the so-called Data Generating Process. The merits of general to specific modelling are analyzed. Hendry's neo-Popperian philosophy is examined. It is argued that this philosophy is not able to transform econometrics from `alchemy' to `science'.Econometrics;Testing;Data Generation Process;econometrics